人民币汇率双向浮动宏观因素影响机制研究——基于多重政策目标协调视角的实证分析

Influencing Mechanism of Macroeconomic Factors on RMB Exchange Rate Bidirectional Fluctuations:An Empirical Research from the Perspective of Multiple Policy Goals

本文通过引入结构性政策转变虚拟变量,构建了反映人民币汇率形成机制改革效应的MDV-TARCH-M模型,分析了国内外差值变量和货币政策调控指标对汇率长期和短期变动的影响,得到如下结论:首先,历次改革中,只有中间价形成机制调整对促进汇率双向浮动产生显著效果;其次,人民币汇率浮动区间扩大是我国经济结构调整、技术进步速度放缓与国际经贸关联日趋紧密的交互效应的具体表现;第三,国内利率主要调节实体经济,对汇率的影响被阻断,但过高国际利差不利于人民币升值;最后,建立在贸易生产与货币政策之上的两组变量反馈机制通过宏观经济调控准则相互关联。

Since 2011,although the RMB exchange rate starts to implement managed bidirectional floating regime,the increase in the range and frequency of exchange rate fluctuations means that the bidirectional spillover effect of domestic and foreign monetary policies has been increased,which affects the domestic economy and the confidence in holding RMB.The effects of structural changes in exchange rate regimes comprehensively are analyzed via introducing policy dummy variables,in order to find out the transmission mechanism of macroeconomic factors on RMB exchange rate bidirectional fluctuations,which is significant to maintain financial stability.The following methods are adopted to solve the research question.First,a theoretical model of exchange rate determination is constructed via both fundamental channel and non-fundamental channel.On one hand,monetary policies implemented by foreign and domestic governments influence exchange rate movements.On the other hand,speculators and foreign exchange intervention affect expectations.Next,the relationship between exchange rate and macroeconomic fundamentals in the theoretical model is tested empirically based on the data of RMB Real Effective Exchange Rate(REER)index published by Bank for International Settlement(BIS)and the monthly(quarterly)data of domestic and foreign country from January 1999 to December 2018,in order to find out the transmission mechanism of macroeconomic factors on RMB exchange rate.The theoretical model is modified by adding several policy dummy variables that reflect structural changes in macroeconomy and exchange rate policy,facilitated by the threshold autoregressive conditional heteroscedasticity model(MDV-TARCH-M).The results show that:(1)Only the formation mechanism of RMB exchange rate middle rate has a significant effect on promoting RMB exchange rate bidirectional fluctuations.(2)Due to interactive effects of domestic economic structure changes,and the inadequacy in technology progress and international economy/trade conjunction,the fluctuating interval of RMB exchange rate has been amplified.(3)Domestic interest rates regulations mainly influence the real economy,but not the exchange rate.However,excessive international interest rates are not beneficial to the appreciation of RMB.(4)Mechanisms via trade/producing and monetary policies are associated with each other through macroeconomic regulation principles.The impact of domestic and foreign macroeconomic factors on RMB exchange rate is studied,as well as the transmission mechanisms of both domestic and foreign macroeconomic policies on RMB exchange rate bidirectional fluctuations,which are significant for stabilizing RMB exchange rate and maintaining financial security.